First, you need to know that if a thief steals your iPhone, the first thing a clever one will do is swipe down and turn on airplane mode (and then turn off Wi-Fi, Bluetooth, and Mobile data) so that you can't track it with the Find My app.
But there's an easy way to block them from doing this and here it is.
How to disable Control Center when iPhone is locked
Go to Settings
Go to Face ID & Passcode
Enter your passcode
Scroll down to the section for "Allow Access When Locked"
Toggle off Control Center.
Now, if thief takes your phone and tries to swipe down to open the Control Center, nothing happens. So you'll still be track the phone with Find My and that will scare away some thieves from trying to run off with the phone. A thief who's scared of being caught may simply ditch the phone and then you may be able to recover it using the Find My app.
Note that if you change this setting and try to test it, make sure you're not looking straight at the phone or Face ID will recognize you and automatically unlock the phone -- so you'll still be able to swipe down. Either hold the phone off the side (where Face ID can't recognize you) and then try it, or hand it to a friend or family member and have them try to swipe down and access the Control Center.